An algorithm for linear complementarity and its application in american options pricing

Liming Feng*, Vadim Linetsky, José Luis Morales, Jorge Nocedal

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Original languageEnglish (US)
Title of host publicationNumerical Analysis and Applied Mathematics - International Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009
Pages1400-1402
Number of pages3
DOIs
StatePublished - Nov 26 2009
EventInternational Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009 - Rethymno, Crete, Greece
Duration: Sep 18 2009Sep 22 2009

Publication series

NameAIP Conference Proceedings
Volume1168
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Other

OtherInternational Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009
CountryGreece
CityRethymno, Crete
Period9/18/099/22/09

ASJC Scopus subject areas

  • Physics and Astronomy(all)

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